Simulator Models for the Limit Order Book Dynamics and their Applications
Thanks to funding from the Montreal Institute of Structured Finance and Derivatives (IFSID), I am currently setting up a new research...
Introducing Non-ruin Quantities in Collective Risk Theory
My current research program in Ruin Theory includes exploring non-ruin quantities as proxies for risk. Quantities like drawdowns can be...
Lévy Insurance Risk Processes
We study general risk models where the aggregate claims, as well as the premium function, evolve by jumps. This is achieved by...
Constructing Axiomatic Data-based Risk Measures
Risk managers must build models from data in order to asses risk. A part of my research program involves studying risk measures that take...
Applications of Markov-additive Processes in Finance and Insurance
The Markov-additive process family represents a natural theoretical framework to study the so-called regime-switching models. Models with...